Portfolio management with robustness in both prediction and decision: A mixture model based learning approach

We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying distribution can be always well approximated by utilizing a mixture distribution, if we are able to ensure that the component list of a mixture distribution includes all possible distributions corresponding to the scenario analysis of potential market modes. Adopting a mixture distribution enables us to (1) reduce the problem of distribution prediction to a parameter estimation problem in which the mixture weights of a mixture distribution are estimated under a Bayesian learning scheme and the corresponding credible regions of the mixture weights are obtained as well and (2) harmonize information from different channels, such as historical data, market implied information and investors׳ subjective views. We further formulate a robust mean-CVaR portfolio selection problem to deal with the inherent uncertainty in predicting the future return distributions. By employing the duality theory, we show that the robust portfolio selection problem via learning with a mixture model can be reformulated as a linear program or a second-order cone program, which can be effectively solved in polynomial time. We present the results of simulation analyses and primary empirical tests to illustrate a significance of the proposed approach and demonstrate its pros and cons.     

论优化建筑施工技术以有效降低建筑能耗

为了符合国家"可持续发展道路",在保证建筑质量的前提下,要尽量减少能源的损耗。本文从优化施工技术的角度,重点对降低建筑损耗做出了详细的分析。     

DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING

We consider a portfolio optimization problem in a defaultable market with finitely‐many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market coefficients are assumed to depend on the market regime in place, which is modeled by a finite state continuous time Markov process. By separating the utility maximization problem into a predefault and postdefault component, we deduce two coupled Hamilton–Jacobi–Bellman equations for the post‐ and predefault optimal value functions, and show a novel verification theorem for their solutions. We obtain explicit constructions of value functions and investment strategies for investors with logarithmic and Constant Relative Risk Aversion utilities, and provide a precise characterization of the directionality of the bond investment strategies in terms of corporate returns, forward rates, and expected recovery at default. We illustrate the dependence of the optimal strategies on time, losses given default, and risk aversion level of the investor through a detailed economic and numerical analysis.     

针对供应信息共享的供应链模型设计与仿真分析

对供应信息共享情况下供应链整体效益的优化程度进行定性与定量分析，分别对供应商、制造商、零售商绩效建立数学模型，并运用Matlab仿真证明了供应信息共享有利于供应链节点企业成本和利润的优化，提出信息共享是成本优化的关键第一步。     

A hybrid multi-objective approach to capacitated facility location with flexible store allocation for green logistics modeling

We propose an efficient evolutionary multi-objective optimization approach to the capacitated facility location–allocation problem (CFLP) for solving large instances that considers flexibility at the allocation level, where financial costs and CO₂ emissions are considered simultaneously. Our approach utilizes suitably adapted Lagrangian Relaxation models for dealing with costs and CO₂ emissions at the allocation level, within a multi-objective evolutionary framework at the location level. Thus our method assesses the robustness of each location solution with respect to our two objectives for customer allocation. We extend our exploration of selected solutions by considering a range of trade-offs for customer allocation.     

大学食堂服务流水线布局优化研究

针对大学食堂面临的下课高峰期人满为患的难题，以上海某大学食堂为例，从食堂服务流程着手，提出对大学食堂布局的改善和优化意见，以提高高峰期食堂的服务效率。同时运用ProModel模拟仿真的方法对所提出方案进行模拟仿真。通过仿真数据进行分析来考察和验证所提出的改善方案的可行性和运行效果。     

面向读者需求的高校图书馆资源建设策略调整研究——以南京财经大学图书馆为例

随着读者学习与阅读习惯变化，纸本资源利用下降，图书的零借阅逐年递增，为避免资源浪费，节约建设经费，实行取消图书流通复本的图书采购策略。通过以用定藏、扩大图书品种、增加电子资源、合理配置电子资源比例、创新服务手段等保障方式，满足读者需求。适当关注特藏资源的建设，实现馆藏资源的科学、优化、有效发展。     

医院预约医疗模式探讨与研究

本文运用华罗庚的统筹方法理论,在现有的HIS管理信息系统的基础上,提出建立全方位的预约医疗信息系统,以期从优化工作流程的角度进一步提高医院的管理水平,实现优质医疗资源的合理配置,提高现有优质医疗资源的利用率。     

再服务理念视角下的旅游物流优化研究

详细地分析了中国旅游物流发展的基本状况，界定了再服务理念含义，分析了在旅游物流中应用再服务理念的重要作用和功能，因此明确应该将其作为指导原则。在以上分析的基础上，重点提出了在旅游物流中应用再服务理念的建议。     

对数鲁棒优化投资组合策略有效性研究——基于中国股票市场的实证分析

结合中国股票市场实际特征,基于资产价格服从对数正态分布假设及引入最坏情景（即风险价值）,同时考虑各资产之间的关联性,提出三种资产关系对数鲁棒优化投资组合模型：最坏情景下独立资产对数鲁棒优化投资组合（WCIALRO）模型、最坏情景下特殊关联资产对数鲁棒优化（WCCASCLRO）模型和最坏情景下一般关联资产对数鲁棒优化（WCCAGCLRO）模型。运用新的求解方法对三种模型及相应改进模型进行实证比较分析,结果表明：对数鲁棒优化投资组合策略是有效、可行的。